Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Close Brothers Group plc backtest
10 trend-following strategies were compared on the full daily history of Close Brothers Group plc. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.7%, MDD -28.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.2%, drawdown -89.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.5%, MDD -16.3%, Sharpe 0.53, 6% exposure.
CAGR reference leader: Supertrend — CAGR 5.8%, MDD -68.2%, exposure 64%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 72.9%p (CAGR 5.7%, MDD -28.4%, exposure 40%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=34, threshold=39 |
2.5% | -16.3% | 0.53 | 0.16 | 2.6x | 24 | 6% |
| 볼린저 밴드 돌파 n=27, k=3.2 |
3.4% | -22.0% | 0.50 | 0.15 | 3.5x | 66 | 11% |
| Donchian 채널 돌파 entryN=81, exitN=9 |
5.7% | -28.4% | 0.40 | 0.20 | 8.2x | 134 | 40% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=20, mult=3.2 |
5.4% | -32.2% | 0.39 | 0.17 | 7.3x | 94 | 31% |
| ROC 모멘텀 n=101, threshold=0.1 |
4.2% | -33.1% | 0.39 | 0.13 | 4.8x | 174 | 26% |
| Supertrend period=14, mult=4.5 |
5.8% | -68.2% | 0.36 | 0.09 | 8.6x | 133 | 64% |
| SMA 크로스오버 fast=14, slow=166 |
3.9% | -64.6% | 0.33 | 0.06 | 4.2x | 70 | 41% |
| EMA 크로스오버 fast=56, slow=82 |
3.6% | -60.2% | 0.30 | 0.06 | 3.9x | 52 | 44% |
| Parabolic SAR step=0.01, maxStep=0.34 |
4.0% | -72.8% | 0.27 | 0.06 | 4.5x | 336 | 64% |
| MACD fast=14, slow=46, signal=14 |
3.2% | -64.7% | 0.27 | 0.05 | 3.3x | 372 | 38% |
| Buy and hold | 4.2% | -89.2% | 0.28 | 0.05 | 4.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 34-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)